Two estimators for the APT model when factors are measured

DOI10.1016/0165-1765(85)90035-7MaRDI QIDQ373820zbMATH OpenOpenAlexFDO

Authors Marjorie B. McElroy, Edwin Burmeister, Kent D. Wall

Publication date 25 October 2013

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0165-1765(85)90035-7

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Statistical methods; economic indices and measures (91B82)

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Cites work

• An Intertemporal General Equilibrium Model of Asset Prices
• Efficient Estimation of a System of Regression Equations when Disturbances are Both Serially and Contemporaneously Correlated
• scientific article; zbMATH DE number 3988509 (Why is no real title available?)
• scientific article; zbMATH DE number 3718819 (Why is no real title available?)
• Seemingly unrelated nonlinear regressions
• Statistical Inference in an Implicit, Nonlinear, Simultaneous Equation Mode in the Context of Maximum Likelihood Estimation

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(4)

• Estimating the arbitrage pricing theory with observed macro factors
• Why good economic news depressed stock and bond prices in 1996
• Arbitrage pricing theory in ergodic markets
• Nonfarm employment and the arbitrage pricing theory

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